Something is missing in my "Friday Sell-off"

• 06/23/2017 at 10:32 AM #38879
  Ricx

  This is my first backtest, just trying to create a simple test to take a look at sell-offs in S&P500 during the last 45 minutes on Fridays.

  It seems that I am missing something as I don’t get any results.. I want to look at in in the 5 minutes timeframe and I’ve put in MA8 and MA16, I want to enter a short position (and vice versa for long) when MA8 crosses under MA16 and I want it to exit the position when price goes over MA8 or 10 minutes after closing time of the stock exchange (which in my case is 22:10 as I’m located in GMT+1). Attached you can see a pic of what I’m looking to capture, however the attached pic is of a Thursday but it is just to show you what I’m looking for.

  What am I missing?

  Thanks in advance for any help! 🙂

  Sell-off / buy-in Fridays

  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated // The system will cancel all pending orders and close all positions at 0:00. No new ones will be allowed until after the "FLATBEFORE" time. DEFPARAM FLATBEFORE = 212500 // Cancel all pending orders and close all positions at the "FLATAFTER" time DEFPARAM FLATAFTER = 221000 // Prevents the system from creating new orders to enter the market or increase position size before the specified time noEntryBeforeTime = 212500 timeEnterBefore = time >= noEntryBeforeTime // Prevents the system from placing new orders to enter the market or increase position size after the specified time noEntryAfterTime = 221000 timeEnterAfter = time < noEntryAfterTime // Prevents the system from placing new orders on specified days of the week daysForbiddenEntry = OpenDayOfWeek = 1 OR OpenDayOfWeek = 2 OR OpenDayOfWeek = 3 OR OpenDayOfWeek = 4 OR OpenDayOfWeek = 6 OR OpenDayOfWeek = 0 // Conditions to enter long positions indicator1 = Average[8](close) indicator2 = Average[16](close) c1 = (indicator1 CROSSES OVER indicator2) IF c1 AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry THEN BUY 1 CONTRACT AT MARKET ENDIF // Conditions to exit long positions indicator3 = Average[8](close) c2 = (close < indicator3) IF c2 THEN SELL AT MARKET ENDIF // Conditions to enter short positions indicator4 = Average[8](close) indicator5 = Average[16](close) c3 = (indicator4 CROSSES UNDER indicator5) IF c3 AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry THEN SELLSHORT 1 CONTRACT AT MARKET ENDIF // Conditions to exit short positions indicator6 = Average[8](close) c4 = (close > indicator6) IF c4 THEN EXITSHORT AT MARKET ENDIF // Stops and targets SET STOP pTRAILING 10 SET TARGET pPROFIT 30

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55

  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated // The system will cancel all pending orders and close all positions at 0:00. No new ones will be allowed until after the "FLATBEFORE" time. DEFPARAM FLATBEFORE = 212500 // Cancel all pending orders and close all positions at the "FLATAFTER" time DEFPARAM FLATAFTER = 221000   // Prevents the system from creating new orders to enter the market or increase position size before the specified time noEntryBeforeTime = 212500 timeEnterBefore = time >= noEntryBeforeTime   // Prevents the system from placing new orders to enter the market or increase position size after the specified time noEntryAfterTime = 221000 timeEnterAfter = time < noEntryAfterTime   // Prevents the system from placing new orders on specified days of the week daysForbiddenEntry = OpenDayOfWeek = 1 OR OpenDayOfWeek = 2 OR OpenDayOfWeek = 3 OR OpenDayOfWeek = 4 OR OpenDayOfWeek = 6 OR OpenDayOfWeek = 0   // Conditions to enter long positions indicator1 = Average[8](close) indicator2 = Average[16](close) c1 = (indicator1 CROSSES OVER indicator2)   IF c1 AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry THEN BUY 1 CONTRACT AT MARKET ENDIF   // Conditions to exit long positions indicator3 = Average[8](close) c2 = (close < indicator3)   IF c2 THEN SELL AT MARKET ENDIF   // Conditions to enter short positions indicator4 = Average[8](close) indicator5 = Average[16](close) c3 = (indicator4 CROSSES UNDER indicator5)   IF c3 AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry THEN SELLSHORT 1 CONTRACT AT MARKET ENDIF   // Conditions to exit short positions indicator6 = Average[8](close) c4 = (close > indicator6)   IF c4 THEN EXITSHORT AT MARKET ENDIF   // Stops and targets SET STOP pTRAILING 10 SET TARGET pPROFIT 30

   

  

  Ricx

  Participant

  Topics: 6

  Replies: 4

  Been thanked: 0 times
  06/23/2017 at 10:54 AM #38881
  Nicolas

  Something wrong in your conditions:

  graph c1 AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry coloured (0,200,0) graph c3 AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry coloured (200,0,0)

  1 2	graph c1 AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry coloured (0,200,0) graph c3 AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry coloured (200,0,0)

  Don’t return any valid signals in backtests. You should test each of all your conditions, to know which one prevent a signal to be valid.

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20863

  Been thanked: 4773 times
  06/23/2017 at 11:21 AM #38883
  Ricx

  Thanks for answering!

  What do you mean by testing all of the conditions? Am I only testing one right now?

  

  Ricx

  Participant

  Topics: 6

  Replies: 4

  Been thanked: 0 times
  06/23/2017 at 11:28 AM #38884
  GraHal

  I think Nicolas means for you to backtest 1 condition and then include a 2nd condition and then a 3rd etc. When you include a condition which stops trades then you know that is the condition with the error?

  1 user thanked author for this post.

  Ricx

  

  GraHal

  Participant

  Topics: 212

  Replies: 8786

  Been thanked: 2185 times
  06/23/2017 at 12:09 PM #38890
  Nicolas

  This is all conditions that trigger a BUY order:

  c1 AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry

  All these conditions are not met at the same time and that’s why you never get any long entry. I suggest to GRAPH one condition by one in backtests to know why it happens.

  1 user thanked author for this post.

  Ricx

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20863

  Been thanked: 4773 times
• Author
  Posts